Study: Buy CIPLA when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy CIPLA when RSI is oversold" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy CIPLA at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. sell after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
149261.8875462961.333541.716001.79-3919.19-13201.340.91.430.027656.83
2101025754530606269.3532811.31-6036.52-17967.291.041.560.0331347.01
388525.7675443158.676983.3629876.6-7056.19-34067.830.991.40.0251180.34
4127900754530607852.4434976.46-7515.32-27566.021.041.570.0341705.34
521415175413454.6710454.8741816.67-6308.8-32433.391.6620.0542855.34
626300475403553.3312623.0646773.75-6911.97-39157.821.832.090.0553506.72
729242775443158.6712650.5453722.84-8522.47-45030.611.482.110.0533899.03
832053974413355.4114628.0257029.55-8460.91-47112.41.732.150.0554331.61
931336674462862.1613021.5646737.01-10200.92-52370.111.282.10.0534234.67
1035215174433158.1115203.6171316.92-9729.15-41677.261.562.170.0534758.8
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
CIPLA Performance, X=10, Profit Factor:2.17

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019313 Aug 2019 (-2.42%), 28 Aug 2019 (1.02%), 19 Sep 2019 (-7.45%)
2018606 Feb 2018 (5.85%), 22 Mar 2018 (2.96%), 18 May 2018 (-1.6%), 04 Jun 2018 (16.48%), 06 Nov 2018 (-1.63%), 22 Nov 2018 (-0.84%)
2017321 Apr 2017 (-2.29%), 08 May 2017 (2.09%), 23 May 2017 (0.27%)
2016518 Jan 2016 (-2.88%), 04 Feb 2016 (-4.72%), 23 May 2016 (-6.18%), 06 Jun 2016 (4.63%), 08 Nov 2016 (3.27%)
2015209 Jun 2015 (6.49%), 13 Nov 2015 (4.17%)
2014113 Feb 2014 (1.05%)
2013326 Feb 2013 (7.15%), 20 Nov 2013 (-0.71%), 16 Dec 2013 (6.62%)
2012126 Mar 2012 (7.32%)
2011407 Feb 2011 (-2.65%), 21 Feb 2011 (0.39%), 21 Mar 2011 (9.87%), 09 Aug 2011 (-3.9%)
2010111 Aug 2010 (-1.39%)
2008322 Jan 2008 (15.07%), 10 Oct 2008 (-17.64%), 24 Oct 2008 (24.08%)
2007305 Mar 2007 (3.52%), 23 Jul 2007 (-3.89%), 23 Aug 2007 (10.58%)
2006113 Dec 2006 (6.32%)
2005211 Jan 2005 (-0.11%), 15 Apr 2005 (12.67%)
2004519 Mar 2004 (6.97%), 12 May 2004 (-2.26%), 26 May 2004 (-7.51%), 09 Jun 2004 (-17.17%), 23 Jun 2004 (17.35%)
2003522 Jan 2003 (-3.3%), 05 Feb 2003 (-1.61%), 27 Feb 2003 (-4.41%), 31 Mar 2003 (3.61%), 28 Apr 2003 (2.28%)
2002604 Feb 2002 (-2.84%), 18 Feb 2002 (-2.71%), 05 Mar 2002 (1.68%), 18 Jun 2002 (-0.87%), 20 Aug 2002 (6.55%), 16 Oct 2002 (0.74%)
2001226 Feb 2001 (-9.43%), 13 Mar 2001 (7.67%)
2000611 Jan 2000 (7.18%), 03 Mar 2000 (26.81%), 02 May 2000 (1.65%), 23 May 2000 (7.9%), 24 Jul 2000 (5.08%), 18 Sep 2000 (-0.18%)
1999220 Oct 1999 (-20.84%), 02 Nov 1999 (1.23%)
1998127 Nov 1998 (4.24%)
1997225 Aug 1997 (2.42%), 10 Dec 1997 (2.67%)
1996101 Oct 1996 (8.53%)
1995627 Apr 1995 (-1.25%), 12 Jun 1995 (-2.39%), 05 Jul 1995 (17.97%), 05 Sep 1995 (6.81%), 10 Nov 1995 (-13.72%), 24 Nov 1995 (35.66%)

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
atrnil312.61486403106357133.0230877.3263273-8370.46-57318.133.691.820.034588.7
atrnil210.23262902108426638.8919583.59175515-8478.91-57318.132.311.470.0232434.28
atrtrail-16.24176249122487439.3413914.9886013.15-6644.19-57318.132.091.360.0191444.66
atrtrail35.5162902122497340.1613242.8551221.36-6657.5-57318.131.991.340.0191335.26
atrtrail24.8143098123517241.4612310.8647264.87-6732.72-57318.131.831.30.0181163.4

In the table above, row 1 shows the best exit criterion. Profit factor is 1.82. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 33.02%, which is not acceptable. Avoid this strategy. Average return per trade is 2.29%, which is very good. Sharpe Ratio is 0.03, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CIPLA Performance, Profit Factor:1.82

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019613 Aug 2019 (-3.45%), 23 Aug 2019 (-3.2%), 19 Sep 2019 (-2.57%), 25 Sep 2019 (-3.05%), 30 Sep 2019 (-3.16%), 01 Oct 2019 (-3.45%)
2018506 Feb 2018 (7.84%), 22 Mar 2018 (8.94%), 18 May 2018 (-3.2%), 22 May 2018 (10.19%), 06 Nov 2018 (-4.45%)
2017821 Apr 2017 (-1.49%), 24 Apr 2017 (-1.55%), 26 Apr 2017 (-1.67%), 05 May 2017 (-1.6%), 23 May 2017 (-2.01%), 24 May 2017 (-2.23%), 25 May 2017 (-2.54%), 26 May 2017 (8.36%)
2016818 Jan 2016 (-2.57%), 27 Jan 2016 (-2.64%), 04 Feb 2016 (-3.36%), 12 Feb 2016 (-3.81%), 23 May 2016 (-2.31%), 25 May 2016 (8.57%), 08 Nov 2016 (-2.63%), 09 Nov 2016 (9.43%)
2015309 Jun 2015 (-3.33%), 11 Jun 2015 (10.41%), 13 Nov 2015 (-2.7%)
2014213 Feb 2014 (-2.87%), 21 Feb 2014 (7.79%)
2013426 Feb 2013 (8.18%), 20 Nov 2013 (-2.22%), 22 Nov 2013 (-2.25%), 16 Dec 2013 (6.01%)
2012126 Mar 2012 (8.21%)
2011607 Feb 2011 (-3.57%), 10 Feb 2011 (-3.68%), 24 Feb 2011 (-3.06%), 21 Mar 2011 (8.84%), 09 Aug 2011 (-2.92%), 16 Aug 2011 (-3.19%)
2010211 Aug 2010 (-1.81%), 16 Aug 2010 (6.31%)
2008522 Jan 2008 (-6.24%), 10 Oct 2008 (-5.36%), 22 Oct 2008 (-5.52%), 23 Oct 2008 (-5.96%), 24 Oct 2008 (23.55%)
2007405 Mar 2007 (-4.62%), 23 Jul 2007 (-3.23%), 25 Jul 2007 (-3.21%), 23 Aug 2007 (14.65%)
2006113 Dec 2006 (9.2%)
2004219 Mar 2004 (13.83%), 12 May 2004 (131.64%)
2003822 Jan 2003 (-2.63%), 05 Feb 2003 (-2.88%), 14 Feb 2003 (-2.8%), 04 Mar 2003 (-2.83%), 10 Mar 2003 (-3.05%), 11 Mar 2003 (12.69%), 31 Mar 2003 (-3.81%), 28 Apr 2003 (13.72%)
2002804 Feb 2002 (-3.18%), 06 Feb 2002 (-3.46%), 28 Feb 2002 (-2.94%), 18 Jun 2002 (-2.48%), 20 Jun 2002 (7.93%), 20 Aug 2002 (-1.76%), 21 Aug 2002 (5.62%), 16 Oct 2002 (-3.65%)
2001326 Feb 2001 (-4.11%), 12 Mar 2001 (-5.02%), 13 Mar 2001 (-5.49%)
2000803 Mar 2000 (25.61%), 02 May 2000 (-11.28%), 03 May 2000 (-11.67%), 23 May 2000 (32.5%), 24 Jul 2000 (19.72%), 18 Sep 2000 (-4.48%), 20 Sep 2000 (-4.97%), 22 Sep 2000 (15.57%)
1999220 Oct 1999 (-28.66%), 02 Nov 1999 (-22.0%)
1998127 Nov 1998 (7.48%)
1997525 Aug 1997 (-3.08%), 28 Aug 1997 (-3.32%), 01 Sep 1997 (10.46%), 10 Dec 1997 (-3.14%), 11 Dec 1997 (10.48%)
1996201 Oct 1996 (-3.09%), 07 Oct 1996 (9.01%)
19951227 Apr 1995 (-4.11%), 02 May 1995 (13.09%), 12 Jun 1995 (-3.49%), 15 Jun 1995 (12.72%), 05 Jul 1995 (15.22%), 05 Sep 1995 (11.48%), 10 Nov 1995 (-3.72%), 13 Nov 1995 (-4.07%), 15 Nov 1995 (-4.02%), 21 Nov 1995 (-4.33%), 22 Nov 1995 (-4.94%), 23 Nov 1995 (15.13%)



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